Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.
This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.
It will buy only one risk on asset at a time.
Trading happens on the Close
of the signal day
Details
Metrics
Metric | Measure |
---|---|
AccountName | default |
NoOfTrades | 57.00 |
NoOfWins | 37.00 |
NoOfLosses | 20.00 |
SharpRatio | 0.98 |
SortinoRatio | 1.21 |
GrossProfit | $58813.86 |
FirstDate | 2010-01-28 |
LastDate | 2022-01-31 |
FirstEquity | $10000.00 |
FinalEquity | $68813.86 |
OpenEquity | $0.00 |
LongEquity | $58813.86 |
ShortEquity | $0.00 |
PercentWins | 64.91% |
AveWin | $2122.22 |
AveLoss | $-985.42 |
AveWinLoss | 2.15 |
Expectancy | 4.18% |
AveDrawUp | 37.49% |
AveDrawDown | -9.05% |
MaxDrawDown | -20.44% |
Kelly | 48.62% |
Thrope | 94.74 |
APR | 17.42% |
CalmarRatio | 1.93 |
Trades
Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
---|---|---|---|---|---|---|---|---|---|
QQQ | 2010-01-28 | 2010-01-29 | $38.81 | $38.13 | Long | 197.0 | -1.75% | 2398.95 | 9866.57 |
SPY | 2010-01-29 | 2010-02-26 | $84.86 | $87.51 | Long | 88.0 | 3.12% | 2400.70 | 10099.52 |
QQQ | 2010-02-26 | 2010-06-30 | $39.89 | $38.18 | Long | 193.0 | -4.30% | 2298.20 | 9768.85 |
UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 365.0 | -1.88% | 2294.31 | 9628.71 |
FXY | 2010-07-30 | 2010-08-31 | $114.60 | $117.83 | Long | 64.0 | 2.82% | 2320.65 | 9835.43 |
UBT | 2010-08-31 | 2010-09-10 | $23.56 | $21.02 | Long | 319.0 | -10.76% | 9026.62 | 9026.62 |
UBT | 2010-09-29 | 2010-09-30 | $22.35 | $22.31 | Long | 308.0 | -0.17% | 2192.93 | 9014.72 |
FXA | 2010-09-30 | 2010-10-29 | $82.19 | $83.53 | Long | 83.0 | 1.64% | 2242.52 | 9126.32 |
FXY | 2010-10-29 | 2010-11-30 | $122.93 | $118.16 | Long | 56.0 | -3.88% | 2093.04 | 8859.48 |
QQQ | 2010-11-30 | 2011-03-31 | $46.67 | $51.63 | Long | 145.0 | 10.64% | 2283.30 | 9579.23 |
SPY | 2011-03-31 | 2011-04-29 | $107.29 | $110.40 | Long | 68.0 | 2.90% | 2356.57 | 9790.53 |
FXA | 2011-04-29 | 2011-05-31 | $95.31 | $93.12 | Long | 78.0 | -2.29% | 2306.94 | 9619.98 |
FXF | 2011-05-31 | 2011-07-29 | $116.08 | $125.79 | Long | 63.0 | 8.36% | 2407.78 | 10231.71 |
UBT | 2011-07-29 | 2011-10-14 | $20.27 | $27.46 | Long | 386.0 | 35.49% | 13008.65 | 13008.65 |
UBT | 2011-10-28 | 2012-01-31 | $26.18 | $30.96 | Long | 380.0 | 18.25% | 3535.72 | 14824.19 |
QQQ | 2012-01-31 | 2012-09-28 | $54.80 | $62.50 | Long | 206.0 | 14.06% | 3911.06 | 16411.04 |
SPY | 2012-09-28 | 2013-07-31 | $120.19 | $143.24 | Long | 104.0 | 19.17% | 4421.67 | 18807.72 |
QQQ | 2013-07-31 | 2014-03-31 | $69.84 | $81.83 | Long | 206.0 | 17.17% | 5004.17 | 21277.82 |
SPY | 2014-03-31 | 2014-05-30 | $161.13 | $166.01 | Long | 101.0 | 3.03% | 5125.42 | 21771.23 |
UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 557.0 | -0.57% | 5154.15 | 21676.60 |
QQQ | 2014-06-30 | 2014-07-31 | $87.89 | $88.92 | Long | 188.0 | 1.18% | 5168.52 | 21871.89 |
UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 554.0 | 8.72% | 5492.25 | 23327.60 |
QQQ | 2014-08-29 | 2014-09-30 | $93.38 | $92.67 | Long | 191.0 | -0.76% | 5453.25 | 23192.64 |
UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 563.0 | 5.76% | 5760.71 | 24214.10 |
QQQ | 2014-10-31 | 2015-06-30 | $95.12 | $101.28 | Long | 194.0 | 6.47% | 5980.82 | 25408.25 |
FXF | 2015-06-30 | 2015-07-31 | $103.89 | $100.46 | Long | 187.0 | -3.30% | 24766.82 | 24766.82 |
UBT | 2015-08-31 | 2016-03-31 | $35.24 | $41.26 | Long | 537.0 | 17.10% | 6635.43 | 28001.73 |
FXA | 2016-03-31 | 2016-04-29 | $74.45 | $73.89 | Long | 287.0 | -0.75% | 6562.84 | 27840.46 |
FXY | 2016-04-29 | 2016-06-30 | $90.93 | $93.58 | Long | 234.0 | 2.91% | 6715.78 | 28460.56 |
UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 467.0 | 4.34% | 6958.55 | 29404.82 |
FXY | 2016-07-29 | 2016-08-31 | $94.71 | $93.35 | Long | 237.0 | -1.44% | 6917.53 | 29082.50 |
QQQ | 2016-08-31 | 2016-11-30 | $111.38 | $112.68 | Long | 199.0 | 1.16% | 6963.45 | 29340.32 |
SPY | 2016-11-30 | 2016-12-30 | $199.79 | $203.85 | Long | 112.0 | 2.03% | 7003.34 | 29794.19 |
QQQ | 2016-12-30 | 2017-08-31 | $113.95 | $141.29 | Long | 200.0 | 23.99% | 8318.35 | 35262.16 |
UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 663.0 | -4.79% | 8048.71 | 33970.22 |
QQQ | 2017-09-29 | 2017-11-30 | $140.88 | $150.27 | Long | 184.0 | 6.67% | 8490.76 | 35698.91 |
SPY | 2017-11-30 | 2017-12-29 | $245.12 | $248.08 | Long | 111.0 | 1.21% | 8513.57 | 36027.77 |
QQQ | 2017-12-29 | 2018-04-30 | $151.18 | $156.46 | Long | 182.0 | 3.50% | 8694.91 | 36989.84 |
CYB | 2018-04-30 | 2018-05-31 | $24.69 | $24.40 | Long | 1146.0 | -1.17% | 8715.40 | 36657.69 |
QQQ | 2018-05-31 | 2018-10-31 | $165.34 | $165.75 | Long | 169.0 | 0.25% | 36726.57 | 36726.57 |
UBT | 2018-11-30 | 2019-06-28 | $33.62 | $45.17 | Long | 835.0 | 34.38% | 10955.49 | 46377.07 |
QQQ | 2019-06-28 | 2019-07-31 | $183.53 | $187.82 | Long | 193.0 | 2.33% | 11125.48 | 47204.09 |
UBT | 2019-07-31 | 2019-11-07 | $45.27 | $47.11 | Long | 797.0 | 4.07% | 48671.40 | 48671.40 |
UBT | 2019-11-27 | 2019-11-29 | $50.64 | $50.39 | Long | 735.0 | -0.49% | 11526.14 | 48488.95 |
QQQ | 2019-11-29 | 2020-01-31 | $201.98 | $216.21 | Long | 183.0 | 7.04% | 12048.65 | 51091.91 |
UBT | 2020-01-31 | 2020-03-10 | $54.45 | $65.42 | Long | 717.0 | 20.14% | 58956.35 | 58956.35 |
UBT | 2020-03-30 | 2020-06-04 | $69.06 | $61.70 | Long | 653.0 | -10.66% | 54147.00 | 54147.00 |
UBT | 2020-06-29 | 2020-06-30 | $67.31 | $66.78 | Long | 615.0 | -0.79% | 12852.14 | 53817.98 |
QQQ | 2020-06-30 | 2021-02-26 | $245.30 | $312.25 | Long | 167.0 | 27.29% | 15607.80 | 64997.15 |
SPY | 2021-02-26 | 2021-06-30 | $374.16 | $423.87 | Long | 132.0 | 13.28% | 16822.22 | 71558.21 |
QQQ | 2021-06-30 | 2021-07-30 | $353.14 | $363.24 | Long | 155.0 | 2.86% | 17544.73 | 73124.17 |
SPY | 2021-07-30 | 2021-08-31 | $434.21 | $447.14 | Long | 128.0 | 2.98% | 17615.32 | 74778.21 |
QQQ | 2021-08-31 | 2021-09-30 | $378.56 | $357.06 | Long | 151.0 | -5.68% | 16826.25 | 71530.80 |
UBT | 2021-09-30 | 2021-10-29 | $52.05 | $54.39 | Long | 1051.0 | 4.50% | 17760.41 | 73990.14 |
QQQ | 2021-10-29 | 2021-11-30 | $385.14 | $392.83 | Long | 146.0 | 2.00% | 17688.34 | 75112.96 |
UBT | 2021-11-30 | 2022-01-04 | $57.31 | $51.45 | Long | 1002.0 | -10.23% | 69239.44 | 69239.44 |
UBT | 2022-01-28 | 2022-01-31 | $51.00 | $50.59 | Long | 1038.0 | -0.80% | 68813.86 | 68813.86 |
Signals
Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
---|---|---|---|---|---|---|---|---|
FX | 0.90 | 0.00 | Out | EOM |